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Floating-rate Securities : Frank J. Fabozzi - Frank J. Fabozzi

Floating-rate Securities

Frank J. Fabozzi


Published: 15th June 2000
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Floating-Rate Securities is the only complete resource on "floaters" that fills the information void surrounding these complex securities. It explains the basics of floating rate securities, how to value them, techniques to compute spread measures for relative value analysis, and much more.

About the Authors.

1. Features and Investment Characteristics of Floaters.

2. The Choice of a Floater's Reference Rate.

3. Introduction to the Valuation of Floaters.

4. Valuing Floaters with Embedded Options.

5. Spread Measures and Spread Duration.

6. Relative Value Analysis Using the Interest Rate Swap Market.

7. Adjustable-Rate Mortgage Passthrough Securities.

8. CMO Floaters.

9. ABS Floaters.

10. Analysis of MBS and ABS Floaters.

11. Inverse Floaters.


ISBN: 9781883249656
ISBN-10: 1883249651
Series: Frank J. Fabozzi
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 233
Published: 15th June 2000
Country of Publication: US
Dimensions (cm): 23.6 x 15.8  x 2.06
Weight (kg): 0.49
Edition Number: 1